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Persistent link: https://www.econbiz.de/10003740180
In this paper, we examine the use of Box-Tiao's (1977) canonical correlation method as an alternative to likelihood-based inferences for vector error-correction models. It is now well-known that testing of cointegration ranks based on Johansen's (1995) ML-based method suffers from severe small...
Persistent link: https://www.econbiz.de/10012732978